The Financial Performance of Socially Responsible Investments: Insights from the Intertemporal CAPM

The Financial Performance of Socially Responsible Investments: Insights from the Intertemporal CAPM
Xiao, Yuchao; Faff, Robert; Gharghori, Philip; Min, Byoung-Kyu
2015-10-20 00:00:00
This study formulates a two-factor empirical model under the intertemporal CAPM framework to evaluate the cross-sectional implications of socially responsible investments in the US equity market. Our results show that socially responsible investments have no asset pricing impact on the US market. We argue that this ‘no financial impact’ finding indicates that investors will not be disadvantaged financially by investing in socially responsible funds or corporations.
http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.pngJournal of Business EthicsSpringer Journalshttp://www.deepdyve.com/lp/springer-journals/the-financial-performance-of-socially-responsible-investments-insights-rH8flbMvi0

The Financial Performance of Socially Responsible Investments: Insights from the Intertemporal CAPM

Abstract

This study formulates a two-factor empirical model under the intertemporal CAPM framework to evaluate the cross-sectional implications of socially responsible investments in the US equity market. Our results show that socially responsible investments have no asset pricing impact on the US market. We argue that this ‘no financial impact’ finding indicates that investors will not be disadvantaged financially by investing in socially responsible funds or corporations.

Journal

Journal of Business Ethics
– Springer Journals

Published: Oct 20, 2015

Recommended Articles

Loading...

References

How can a ratings-based method for assessing corporate social responsibility (CSR) provide an incentive to firms excluded from socially responsible investment indices to invest in CSR?

Adam, AM; Shavit, T

Beyond dichotomy: The curvilinear relationship between social responsibility and financial performance

Barnett, M; Salomon, R

The ethical mutual funds performance debate: New evidence for Canada

Bauer, R; Derwall, J; Otten, R

International evidence on ethical mutual fund performance and investment style

Bauer, R; Koedijk, K; Otten, R

Ethical investing in Australia: Is there a financial penalty?

Bauer, R; Otten, R; Tourani-Rad, A

Do socially responsible fund managers really invest differently?

Benson, K; Brailsford, T; Humphrey, J

The worth of values: A literature review on the relation between corporate social and financial performance

Beurden, PV; Gössling, T

Doing well while doing bad? CSR in controversial industry sectors

Cai, Y; Jo, H; Pan, C

Understanding risk and return

Campbell, J

On persistence in mutual fund performance

Carhart, MM

Economic forces and the stock market

Chen, NF; Roll, R; Ross, SA

Asset pricing

Cochrane, J

The eco-efficiency premium puzzle

Derwall, J; Gunster, N; Bauer, R; Koedijk, K

Two pillars of asset pricing

Fama, EF

The cross-section of expected stock returns

Fama, EF; French, KR

Common risk factors in the returns on stocks and bonds

Fama, EF; French, KR

Risk, return, and equilibrium: Empirical tests

Fama, EF; MacBeth, J

Strategic management: A stakeholder approach

Freeman, RE

The stocks at stake: Return and risk in socially responsible investment

Galema, R; Plantinga, A; Scholtens, B

The performance of socially responsible mutual funds: The role of fees and management companies

Gil-Bazo, J; Ruiz-Verdu, P; Portela, AAP

Are red or blue companies more likely to go green? Politics and corporate social responsibility

Giuli, A; Kostovetsky, L

Financial markets: A tool for social responsibility?

Haigh, M; Hazelton, J

Doing well while doing good? The investment performance of socially responsible mutual funds

Hamilton, S; Jo, H; Statman, M

Corporate governance and CSR Nexus

Harjoto, M; Jo, H

Corporate social responsibility and socially responsible investing: A global perspective